Thread handling issue

[Paul]

I'm wondering what the best solution for this problem is.

I've got a wxpython app, in one part a user makes some selections then opens a 
dialog to select where to output. At which point the app starts a thread 
processing their selection while they're choosing an output location, hopefully 
ready for when they're done.

My problem is if the user doesn't select an output location and cancels the
dialog to go back to the selection I want to terminate the thread to avoid the 
user opening and closing the output selection firing off a ton of threads. 

As there's no inbuilt way of killing threads I was wondering the best way to 
prevent this?